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Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

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  • Gabriel Pons

Abstract

. This paper proposes a method for testing seasonal unit roots that combines monthly and quarterly Hylleberg, Engle, Granger and Yoo (HEGY) tests. The new approach is more powerful than the method that does not use quarterly information, i.e. the monthly HEGY test. An empirical illustration of the proposed approach is given for monthly US Industrial Production.

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  • Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 191-209, March.
    • Handle: RePEc:bla:jtsera:v:27:y:2006:i:2:p:191-209
    DOI: 10.1111/j.1467-9892.2005.00463.x
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    2. Hassler, Uwe, 2011. "Estimation of fractional integration under temporal aggregation," Journal of Econometrics, Elsevier, vol. 162(2), pages 240-247, June.

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